Fitting multiple change-point models to data

  title={Fitting multiple change-point models to data},
  author={Douglas M. Hawkins},
Change-point problems arise when di/erent subsequences of a data series follow di/erent statistical distributions – commonly of the same functional form but having di/erent parameters. This paper develops an exact approach for 3nding maximum likelihood estimates of the change points and within-segment parameters when the functional form is within the general exponential family. The algorithm, a dynamic program, has execution time only linear in the number of segments and quadratic in the number… CONTINUE READING


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